Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.1661
Annualized Std Dev 0.2649
Annualized Sharpe (Rf=0%) -0.6270

Row

Daily Return Statistics

Close
Observations 3562.0000
NAs 1.0000
Minimum -0.2532
Quartile 1 -0.0084
Median -0.0010
Arithmetic Mean -0.0006
Geometric Mean -0.0007
Quartile 3 0.0064
Maximum 0.1414
SE Mean 0.0003
LCL Mean (0.95) -0.0011
UCL Mean (0.95) 0.0000
Variance 0.0003
Stdev 0.0167
Skewness -0.5636
Kurtosis 20.8841

Downside Risk

Close
Semi Deviation 0.0118
Gain Deviation 0.0127
Loss Deviation 0.0124
Downside Deviation (MAR=210%) 0.0169
Downside Deviation (Rf=0%) 0.0121
Downside Deviation (0%) 0.0121
Maximum Drawdown 0.9569
Historical VaR (95%) -0.0233
Historical ES (95%) -0.0385
Modified VaR (95%) -0.0236
Modified ES (95%) -0.0236
From Trough To Depth Length To Trough Recovery
2008-11-21 2021-03-15 NA -0.9569 3102 3097 NA
2008-10-28 2008-11-04 2008-11-19 -0.1820 17 6 11
2008-03-11 2008-09-19 2008-10-06 -0.1764 146 135 11
2008-10-10 2008-10-13 2008-10-24 -0.1339 11 2 9
2007-08-16 2007-10-09 2007-11-21 -0.1181 69 38 31

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 -0.6 0.4 -0.1 -0.1 -0.8 0.7 -0.7 -1 -1.6 3.7 0 0.9 0.8
2008 -2.4 2.5 -3.3 -1.9 -0.1 -0.1 -0.2 1.2 1.5 -4.4 11.6 -2.5 0.9
2009 1.8 1 -1.6 -0.3 -3.7 -1.6 0.4 2.4 3.3 3 -1.7 1.5 4.3
2010 -1.2 -2.3 -0.9 3 3.2 0.7 -0.1 -4 -0.6 0.6 -2.2 0.7 -3.4
2011 -2.4 1.9 -0.3 -0.3 3.2 -1.5 0.4 2.2 3 3.2 0.8 0.7 11.3
2012 -2.2 -0.5 0.2 0 3 -2.9 1.7 -0.4 -0.3 -1.3 0.2 -1.9 -4.4
2013 -0.8 -0.8 1.2 2.2 1.1 -1.6 -1.4 1.5 -1 0.4 0.1 -0.2 0.8
2014 0.8 0.4 -1.3 0.2 0.4 -1.1 0.3 -0.7 1.3 -1.5 1.5 0.7 1
2015 2.1 0.4 0 -0.7 -0.4 -0.2 -0.5 2.7 0.2 0.4 -0.6 1.3 4.9
2016 0.4 -2.1 -0.5 0.9 -0.7 -0.3 0 -0.1 -1.1 1.3 0.5 0.4 -1.4
2017 0 -1.9 -0.3 -0.5 -1.9 0.1 -0.2 -0.5 -0.3 0.6 0.5 0.7 -3.6
2018 -0.4 0.3 -1 -0.4 -0.7 0.1 0.1 -0.4 1.4 -2.2 -0.5 -0.8 -4.6
2019 -0.2 -0.9 -1.1 1 1.4 -0.3 1.5 0.2 1.9 -1.7 0.6 -0.1 2.2
2020 2.1 1.4 6.9 3.8 -1 0.9 1 -1.2 -1.6 1.3 -0.9 0.2 13.3
2021 -2.4 -3.5 -0.7 NA NA NA NA NA NA NA NA NA -6.6

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart